Robust Farkas-Minkowski constraint qualification for convex inequality system under data uncertainty (Q2188944): Difference between revisions

The authors consider the nonempty assumed solution set \(S=\{x\in \mathbb{R}^n \mid g_i(x,u_i)\le 0\; \forall\,u_i\in \mathcal{U}_i,\, i\in \mathcal{I}=1,2,\dots k \}\) of a robust finite inequality system with compact convex uncertainty sets \(\mathcal{U}_i\) and convex-concave finite valued functions \(g_i:\mathbb{R}^n\times\mathbb{R}^m\rightarrow\mathbb{R}\), \(i\in \mathcal{I}\). They show (Th. 1) that the robust global error bound (RGEB) \(\alpha \inf_{y\in S}\|x-y\|\le \sum_{i\in \mathcal{I}}[\sup_{u_i\in \mathcal{U}_i}g_i(x,u_i)]_+\) on \(\mathbb{R}^n\) for some \(\alpha>0\) is sufficient for the validity of the robust Farkas-Minkowski constraint qualification (FMCQ) according to \(\mathrm{epi}\,\delta^*_S=\bigcup_{\lambda_i>0,\,\,u_i\in \mathcal{U}_i,\,i\in \mathcal{I}}\mathrm{epi}\,(\sum_{i\in \mathcal{I}}\lambda_ig_i(x,u_i))^*\). \(\mathrm{epi} f\) is the epigraph of an extended real-valued function \(f\) and \(\delta^*_S\) denotes the support functional of the convex set \(S\). Hence the union is a closed convex cone. Example 3.2 demonstrates that the concavity of \(g_i\) w.r.t. \(u_i\) is essential. Conditions (FMCQ) and (REGB) are equivalent for the special case of in \(x\) positively semidefinite quadratic forms \(g_i\) with coefficients \(u_i\) belonging to a scenario uncertainty set. In the last three rows of the proof of Th. 1, the subset sign should be replaced by the corresponding superset sign for getting equality.